Moving Z-Score

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Introduction

The moving Z-score for a point is defined as the value of standardized by subtracting the moving mean just prior to time and dividing by the moving standard deviation just prior to . Suppose is the abbreviation for the window_size in terms of the number of observations. Then the moving Z-score is:

z ( x t ) = x t x ¯ t s t

where the moving average is:

x ¯ t = ( 1 / w ) i = t w t 1 x i

and the moving standard deviation is:

s t = ( 1 / w ) i = t w t 1 ( x i x ¯ t ) 2 .

Since there are not sufficient points to calculate the moving average and moving standard deviation at the beginning, we suppose that the moving Z-score at points within window_size observations of the beginning of a series are undefined. The scores of these values are represented by missing (undefined) values.

Whenever there is no variation in the values preceding a given observation (i.e. a series of constant values), the moving Z-score can be infinite or undefined.

Notice:

Moving z-score is calculated under a set of assumptions that can limit its applicability in the real world problems. These assumptions are as foolows:

  • in a certain window data points may have a distribution with definite variance (variance is not infinite)
  • and mean of the data points is not undefined.

For example, in case of Cauchy and Levy distributions have infinite variances and also means of the distributions are undefined, z-score could not be very helpful for finding the abnormal data points. The main advantages of this method are

  • its simplicity
  • and the capability of it to be used for finding anomalous data points in a stream of data (online anomaly detection).

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